The problem with plot in Bethesda titles is mainly due, I think, to the fact that they always base it off your character - which is user-defined and is basically an x-factor. You're always "humanity's last hope" and thus essentially everybody else really doesn't matter. This means a couple of things:
First, the plot never mentions anything where the player or character actually feels included or engaged in the goings on of the world. All you are is the guy who shows up to trigger a scripted event.
Second, NPCs cannot say your name, your actions are hardly to never mentioned amongst townsfolk, and because your character is of a custom makeup and nondescript history, the game treats you as a blank slate.
Furthermore, the maps in Daggerfall, Morrowind, and Oblvion are large, invoking curiosity in the player. And so they explore. They wind up doing so for anywhere from five to eighty hours, and by the time they come back to the plot - with its rather bland presentation - it seems almost uninteresting compared to the cool little things they found all by themself. Even Fallout 3 suffered from this exact same thing, the more I think about it.
Bethesda needs to write a plot that grabs you by the balls and says, "Fuck you, you're gonna play this." And until that game comes, we have BioWare, Obsidian, and CDProjekt Red.